72cb1b6fe5
- shared/db.py: async engine + session factory - shared/models/base.py: DeclarativeBase + TimestampMixin - shared/models/trading.py: Strategy, Signal, Trade, Position, StrategyWeightHistory - shared/models/news.py: Article, ArticleSentiment - shared/models/learning.py: TradeOutcome, LearningAdjustment - shared/models/auth.py: User, UserCredential - shared/models/timeseries.py: MarketData, PortfolioSnapshot, StrategyMetric - Alembic async env.py with initial migration including TimescaleDB hypertables - 21 model tests covering enums, instantiation, metadata registration
57 lines
2.1 KiB
Python
57 lines
2.1 KiB
Python
"""TimescaleDB hypertable models: MarketData, PortfolioSnapshot, StrategyMetric."""
|
|
|
|
import uuid
|
|
from datetime import datetime
|
|
|
|
from sqlalchemy import DateTime, Float, ForeignKey, Integer, String
|
|
from sqlalchemy.dialects.postgresql import UUID
|
|
from sqlalchemy.orm import Mapped, mapped_column
|
|
|
|
from shared.models.base import Base
|
|
|
|
|
|
class MarketData(Base):
|
|
"""OHLCV bars — intended as a TimescaleDB hypertable partitioned by timestamp."""
|
|
|
|
__tablename__ = "market_data"
|
|
|
|
timestamp: Mapped[datetime] = mapped_column(
|
|
DateTime(timezone=True), primary_key=True
|
|
)
|
|
ticker: Mapped[str] = mapped_column(String(20), primary_key=True)
|
|
open: Mapped[float] = mapped_column(Float, nullable=False)
|
|
high: Mapped[float] = mapped_column(Float, nullable=False)
|
|
low: Mapped[float] = mapped_column(Float, nullable=False)
|
|
close: Mapped[float] = mapped_column(Float, nullable=False)
|
|
volume: Mapped[float] = mapped_column(Float, nullable=False)
|
|
|
|
|
|
class PortfolioSnapshot(Base):
|
|
"""Periodic portfolio value snapshots — TimescaleDB hypertable."""
|
|
|
|
__tablename__ = "portfolio_snapshots"
|
|
|
|
timestamp: Mapped[datetime] = mapped_column(
|
|
DateTime(timezone=True), primary_key=True
|
|
)
|
|
total_value: Mapped[float] = mapped_column(Float, nullable=False)
|
|
cash: Mapped[float] = mapped_column(Float, nullable=False)
|
|
positions_value: Mapped[float] = mapped_column(Float, nullable=False)
|
|
daily_pnl: Mapped[float] = mapped_column(Float, nullable=False)
|
|
|
|
|
|
class StrategyMetric(Base):
|
|
"""Per-strategy performance over time — TimescaleDB hypertable."""
|
|
|
|
__tablename__ = "strategy_metrics"
|
|
|
|
timestamp: Mapped[datetime] = mapped_column(
|
|
DateTime(timezone=True), primary_key=True
|
|
)
|
|
strategy_id: Mapped[uuid.UUID] = mapped_column(
|
|
UUID(as_uuid=True), ForeignKey("strategies.id"), primary_key=True
|
|
)
|
|
win_rate: Mapped[float] = mapped_column(Float, nullable=False)
|
|
total_pnl: Mapped[float] = mapped_column(Float, nullable=False)
|
|
trade_count: Mapped[int] = mapped_column(Integer, nullable=False)
|
|
sharpe_ratio: Mapped[float | None] = mapped_column(Float, nullable=True)
|